I read through several Microsoft documentation pages but nothing really helped. Here is what seems to happen: Windows always uses the primary DNS-suffix when asking for a DHCP lease. It simply ignores the connection-specific one. This one is only used when accessing devices over a given connection. Sounds somewhat useless but matches your observation.
The idea could be to add a new file /etc/dnsmasq.d/99-domains.conf and add
domain=CONSULTING-AG.local,192.168.2.123
where the CONSULTING-AG.local is the domain that Pi-hole complains about and 192.168.2.123 the address of the machine that is allowed to take it (please change this address!). @kzi has to use a different domain (cora-management.lcl). Then pihole restartdns and fingers crossed!
The warning is there intentionally and we should not offer a way to simply suppress it. In the end, it tells you that something different than you may expect is happening here. The intention of this mechanism is to constrain hostnames so that an untrusted host on the LAN cannot advertise its name via DHCP as e.g. "microsoft.com" and capture traffic not meant for it.
Ich wünsche Euch einen guten Start ins neue Jahr.